In this snippet, I present how to compute a covariance matrix using the Perl Data Language. The input is a piddle (see comment below for a definition) in which each row represents an input vector and each column represents a dimension of the input vector. The output is a piddle that holds the covariance matrix.

Piddles are numerical arrays stored in column major order (meaning that the fastest varying dimension represent the columns following computational convention rather than the rows as mathematicians prefer). Even though, piddles look like Perl arrays, they are not. Unlike Perl arrays, piddles are stored in consecutive memory locations facilitating the passing of piddles to the C and FORTRAN code that handles the element by element arithmetic. One more thing to note about piddles is that they are referenced with a leading $